Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 7 | 10 | 7 |
| Score | -2.81 | -0.76 | -3.31 |
| Market Cap (Millions USD) | 12831.85 | 11386.85 | 12431.34 |
| Predicted Beta | 0.46 | 0.47 | 0.49 |
| Idiosyncratic Volatility | 1.57 | 1.86 | 2.38 |
Annualized return and volatility
| EWJ | |
|---|---|
| Annualized Return | 0.0106 |
| Annualized Std Dev | 0.2184 |
| Annualized Sharpe (Rf=0%) | 0.0484 |
Row
Daily Return Statistics
| EWJ | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.1041 |
| Quartile 1 | -0.0068 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0073 |
| Maximum | 0.1582 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0138 |
| Skewness | 0.2305 |
| Kurtosis | 8.2168 |
Downside Risk
| EWJ | |
|---|---|
| Semi Deviation | 0.0097 |
| Gain Deviation | 0.0098 |
| Loss Deviation | 0.0099 |
| Downside Deviation (MAR=210%) | 0.0146 |
| Downside Deviation (Rf=0%) | 0.0097 |
| Downside Deviation (0%) | 0.0097 |
| Maximum Drawdown | 0.5889 |
| Historical VaR (95%) | -0.0215 |
| Historical ES (95%) | -0.0320 |
| Modified VaR (95%) | -0.0193 |
| Modified ES (95%) | -0.0218 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-04-03 | 2003-04-25 | 2006-05-02 | -0.5889 | 1554 | 782 | 772 |
| 2006-05-10 | 2009-03-09 | 2017-05-30 | -0.5445 | 2831 | 727 | 2104 |
| 2018-01-29 | 2018-12-24 | NA | -0.2286 | 490 | 233 | NA |
| 2000-01-04 | 2000-03-13 | 2000-03-31 | -0.1236 | 62 | 48 | 14 |
| 2017-11-09 | 2017-11-15 | 2017-11-24 | -0.0323 | 11 | 5 | 6 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | EWJ | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 0.0 | 2.1 | 0.0 | 2.0 | 1.3 | 0.0 | 0.9 | 0.9 | 0.0 | -0.5 | 3.2 | 0.0 | 10.3 |
| 2001 | 0.4 | -1.3 | 0.0 | 2.4 | -0.6 | 0.0 | 1.8 | 0.0 | -0.6 | 1.3 | 0.0 | 0.0 | 3.3 |
| 2002 | -1.3 | 4.4 | -3.3 | 0.7 | 0.0 | -1.2 | -2.4 | 0.0 | 0.7 | 1.9 | 0.0 | 0.0 | -0.7 |
| 2003 | 0.0 | 0.0 | 1.2 | 0.3 | 0.0 | 2.6 | -1.2 | 0.0 | 4.1 | 0.0 | 3.0 | 0.0 | 10.4 |
| 2004 | 0.0 | 3.1 | 1.1 | 0.0 | -0.6 | -1.8 | 0.0 | -0.2 | 2.3 | -0.3 | 1.4 | 0.0 | 4.9 |
| 2005 | 0.6 | 0.7 | -0.3 | 0.0 | 0.6 | 0.0 | 0.9 | 0.9 | 0.0 | 1.0 | 2.3 | 0.0 | 6.9 |
| 2006 | -0.3 | 0.9 | 0.0 | 0.3 | 0.4 | 0.0 | -1.5 | 0.9 | 0.0 | -0.4 | 0.1 | 0.0 | 0.4 |
| 2007 | 1.3 | -0.5 | 0.0 | 0.0 | 0.5 | 0.0 | -0.8 | 0.0 | 1.1 | -1.3 | 0.0 | 0.0 | 0.5 |
| 2008 | 0.9 | 0.0 | 2.9 | 0.9 | 0.0 | 0.4 | -1.4 | 0.0 | -1.2 | 0.0 | -5.8 | 0.0 | -3.5 |
| 2009 | 0.0 | 0.0 | 2.9 | 1.5 | 1.6 | 1.2 | 0.0 | -1.5 | -2.5 | 0.0 | 3.5 | 0.0 | 6.7 |
| 2010 | 1.0 | 1.0 | 1.5 | 0.0 | -0.3 | 0.3 | 0.0 | 2.8 | 0.2 | -1.0 | 2.0 | 0.0 | 7.8 |
| 2011 | 2.0 | -0.2 | -0.2 | 0.0 | -1.3 | 0.9 | -0.9 | -0.9 | 0.0 | -1.3 | -1.4 | 0.0 | -3.3 |
| 2012 | 0.6 | 0.6 | 0.0 | -1.0 | -2.7 | 0.0 | -0.3 | 0.0 | -0.3 | 1.0 | 0.0 | 0.0 | -2.2 |
| 2013 | -0.3 | 1.0 | -3.9 | -1.1 | 0.0 | 1.2 | 2.8 | 0.0 | -0.4 | -1.1 | 0.0 | 0.0 | -1.9 |
| 2014 | 0.0 | 0.0 | 0.3 | 1.3 | 0.0 | 1.7 | -0.1 | 0.0 | -1.6 | 0.0 | 0.5 | 0.0 | 2.1 |
| 2015 | 0.0 | 0.0 | 0.4 | 1.2 | 0.5 | 0.7 | 0.0 | -4.5 | 0.7 | 0.0 | 1.5 | 0.0 | 0.4 |
| 2016 | -0.6 | 2.5 | -2.5 | 0.0 | -0.1 | -0.2 | 0.3 | 0.7 | 0.0 | -0.4 | -0.8 | 0.0 | -1.1 |
| 2017 | 0.5 | 1.2 | 0.0 | 0.4 | 0.9 | 0.0 | 0.6 | -0.4 | 0.0 | 0.6 | -0.5 | 0.0 | 3.3 |
| 2018 | 0.5 | -2.9 | 0.0 | -0.1 | 0.7 | 0.0 | 0.6 | 0.0 | 0.7 | -0.2 | 0.0 | 0.0 | -0.8 |
| 2019 | -0.4 | 0.3 | 1.3 | -0.3 | 0.0 | 1.4 | 0.0 | 0.0 | -0.4 | 1.0 | 0.0 | -0.4 | 2.4 |
Row
Rolling Performance Chart
Snail Trail Chart
